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Components of Grain Futures Price Volatility

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Author Info

  • Karali, Berna
  • Thurman, Walter N.

Abstract

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times— an indirect confirmation of the theory of storage.

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File URL: http://purl.umn.edu/93205
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Bibliographic Info

Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

Volume (Year): 35 (2010)
Issue (Month): 2 (August)
Pages:

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Handle: RePEc:ags:jlaare:93205

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Web page: http://waeaonline.org/
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Related research

Keywords: futures markets; Samuelson effect; seasonality; time to maturity; volatility; Crop Production/Industries; Risk and Uncertainty;

References

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  1. Hyun J. Jin & Darren L. Frechette, 2004. "Fractional Integration in Agricultural Futures Price Volatilities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(2), pages 432-443.
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Cited by:
  1. Wixson, Sarah E. & Katchova, Ani L., 2012. "Price Asymmetric Relationships in Commodity and Energy Markets," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122553, European Association of Agricultural Economists.
  2. repec:ags:jrapmc:122315 is not listed on IDEAS
  3. Karali, Berna, 2012. "Do USDA Announcements Affect Comovements Across Commodity Futures Returns?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(1), April.
  4. Emiliano Magrini & Ayca Donmez, 2013. "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC-IPTS Working Papers JRC84138, Institute for Prospective and Technological Studies, Joint Research Centre.
  5. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.

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